Aftermarket heatsink is for your CPU to keep it cooler than the heatsink that comes from the factory, especially if you're overclocking. Coolermaster Hyper 212 seems to be a stellar heatsink for the price.

As far as the list goes that looks like everything to me. You may or may not want to get more fans for your case depending on which case you choose, how many fans it comes with, and how many slots for additional fans you might want to add if you feel it's necessary.

Aftermarket heatsink is for your CPU to keep it cooler than the heatsink that comes from the factory, especially if you're overclocking. Coolermaster Hyper 212 seems to be a stellar heatsink for the price.

As far as the list goes that looks like everything to me. You may or may not want to get more fans for your case depending on which case you choose, how many fans it comes with, and how many slots for additional fans you might want to add if you feel it's necessary.

I will be replacing all the fans with blue LED ones. So if it has room for say 6 fans its getting all 6.

The "heat sink" they are referring to is probably the one that goes on the actual processor.
The heatsink and fan included with most processors is pretty basic/ cheap.
For twenty or thirty dollars you can get a much better setup and keep your processor much cooler.

Whatever after-market cooling device you choose for your processor/ RAM/ Video card, check the width/ height and make sure it will fit in the case you have.
Also, be sure to get some silver thermal paste if you are using your own cooler as you need to apply this between the processor chip and the heatsink.

An after-market heat sink is completely unnecessary if you don't plan on doing any overclocking of the CPU. Don't let anyone tell you that you need to spend $20-30 extra bucks if you aren't going to be overclocking. However, if you are going to get a CPU like an i5-2500k then there's almost no reason not to overclock as those things can reach some pretty impressive levels and for $20-$30 extra you can push it over 4 GHz stable easily.

As for the rest of the build tips I believe Culadin has pointed you to an appropriate resource for those questions.

If you have never built your own PC before consult some people (not on any store, they'll try to sell you stuff 90% of the time) before buying anything. Do everything yourself, but have someone who knows what he's doing check your work.

That hard drive will be a slow spot in this build. I realize hard drive prices are bonkers at the moment, but a 7200 SATA 3.0Gb/s is kinda slow. Your other options are to bump up to a 10k RPM or go with 7200 SATA 6.0Gb/s. Or go with an SSD, but storage on those is very pricey right now.

One thing you could do if you have the money is to get a 7200 RPM drive (500GB-1TB) to store music, video, and casual games and then use a 60GB SSD to boot into your OS and for the games you play frequently or games that have a lot of loading screens.

Just a suggestion, otherwise that build should play anything out there, perhaps not at ultra settings on extremely cutting edge games, but it's definitely a solid build.

Edit: Make sure to check the comments on that PSU as well. Some PSUs have issues with the power cables reaching up to the top of a full tower while trying to snake around the video card and other obstacles.